Recent European genome-wide association studies (GWAS) have revealed strong statistical correlations between MDD and numerous zero-to-high linked variants in the genomic region containing major histocompatibility complex (MHC) genes (MHC region), but the underlying biological mechanisms are still unclear. To better understand the roles of this genomic region in the neurobiology of MDD, we applied a convergent functional genomics approach to integrate GWAS data of MDD relevant biological phenotypes, gene-expression analyses results obtained from brain samples, and genetic analyses of independent Chinese MDD samples. We observed that independent MDD risk variants in the MHC region were also significantly associated with the relevant biological phenotypes in the predicted directions, including the emotional and cognitive-related phenotypes. Gene-expression analyses further revealed that mRNA expression levels of several MHC region genes in the human brain were associated with MDD risk SNPs and diagnostic status. For instance, a brain-enriched gene ZNF603P consistently showed lower mRNA levels in the individuals carrying MDD risk alleles and in MDD patients. Remarkably, we further found that independent MDD risk SNPs in the MHC region likely converged to affect the mRNA level(s) of the same gene(s), and Europeans and Han Chinese populations have a substantial shared genetic and molecular basis underlying MDD risk associations in the MHC region. These results highlighted several potential pivotal genes at the MHC region in the pathogenesis of MDD. Their common impacts on multiple psychiatric relevant phenotypes also implicated the neurological processes shared by different psychological processes, such as mood and/or cognition, shedding lights on their potential biological mechanisms.